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Financial Markets Equilibrium with Heterogeneous Agents

Cvitanic, Jaksa; Jouini, Elyès; Malamud, Semyon; Napp, … - HAL - 2012

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of … impact of investors heterogeneity on the properties of the equilibrium. In particular, we analyze the consumption shares, the …

Persistent link: https://www.econbiz.de/10009360288

Hétérogénéité des croyances et équilibre des marchés financiers

Ben Mansour Kharraz, Selima - Université Paris-Dauphine (Paris IX) - 2009

In this thesis, we propose to test a new behavioral explanation of the equity premium puzzle. This work is based on the heterogeneous beliefs model of Jouini and Napp (2007) according to which, pessimism of investors at the aggregate level leads to very important risk premiums. In this model,...

Persistent link: https://www.econbiz.de/10010705815

General equilibrium with producers and brokers existence and regularity

Jouini, Elyès; Kallal, Hedi - Université Paris-Dauphine (Paris IX) - 1993

In this paper we prove the existence of general equilibrium with transaction costs generalizing Hahn's (Review of …

Persistent link: https://www.econbiz.de/10010707098

The graph of the Walras correspondence : The production economies case

Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 1993

This paper shows topological properties of the graph of the Walras correspondence such as connectedness and simple connectedness for economies with production.

Persistent link: https://www.econbiz.de/10010707679

Market Imperfections , Equilibrium and Arbitrage

Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 1997

, compatible with some equilibrium) if and only if it is, when appropriately renormalized, a martingale for some equivalent …

Persistent link: https://www.econbiz.de/10010707695

Arbitrage pricing and equilibrium pricing : compatibility conditions

Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2001

compatible with observed price rocesses. In the more realistic context of partial information, the equilibrium analysis permits … are compatible ; In particular, we derive from the equilibrium conditions some links between the price processes …

Persistent link: https://www.econbiz.de/10010707894

Financial Markets Equilibrium with Heterogeneous Agents

Napp, Clotilde; Malamud, Semyon; Jouini, Elyès; … - Université Paris-Dauphine (Paris IX) - 2012

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of … the impact of investors heterogeneity on the properties of the equilibrium. In particular, we analyze the consumption …

Persistent link: https://www.econbiz.de/10010708121

Arbitrage and control problems in finance: A presentation

Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2001

utility maximization program and the equilibrium approach through the market clearing conditions. When there are imperfections …

Persistent link: https://www.econbiz.de/10010708371

Incomplete markets and short-sales constraints : An equilibrium approach

Bizid, Abdelhamid; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2001

derivative. The market is incomplete (apriori) and at equilibrium. We assume also that the agents of the economy have short … equilibrium, we prove that it suffices to consider the subset of the risk-neutral probabilities that overestimate the low values …

Persistent link: https://www.econbiz.de/10010708489

Pricing of non-redundant derivatives in a complete market

Jouini, Elyès; Bizid, Abdelhamid; Koehl, Pierre-François - Université Paris-Dauphine (Paris IX) - 1999

. In such a framework, we derive an equilibrium restriction on the admissible prices of derivative assets. The equilibrium …

Persistent link: https://www.econbiz.de/10010709003